| Title:
|
On valuation of derivative securities: A Lie group analytical approach (English) |
| Author:
|
Yam, Phillip S. C. |
| Author:
|
Yang, Hailiang |
| Language:
|
English |
| Journal:
|
Applications of Mathematics |
| ISSN:
|
0862-7940 (print) |
| ISSN:
|
1572-9109 (online) |
| Volume:
|
51 |
| Issue:
|
1 |
| Year:
|
2006 |
| Pages:
|
49-61 |
| Summary lang:
|
English |
| . |
| Category:
|
math |
| . |
| Summary:
|
This paper proposes a Lie group analytical approach to tackle the problem of pricing derivative securities. By exploiting the infinitesimal symmetries of the Boundary Value Problem (BVP) satisfied by the price of a derivative security, our method provides an effective algorithm for obtaining its explicit solution. (English) |
| Keyword:
|
Lie groups |
| Keyword:
|
infinitesimal transformations |
| Keyword:
|
invariants |
| Keyword:
|
pricing of derivative securities |
| Keyword:
|
Bessel equations |
| Keyword:
|
Bessel functions |
| MSC:
|
49L25 |
| MSC:
|
60G40 |
| MSC:
|
91B24 |
| idZBL:
|
Zbl 1164.60359 |
| idMR:
|
MR2197322 |
| DOI:
|
10.1007/s10492-006-0004-z |
| . |
| Date available:
|
2009-09-22T18:24:45Z |
| Last updated:
|
2020-07-02 |
| Stable URL:
|
http://hdl.handle.net/10338.dmlcz/134629 |
| . |
| Reference:
|
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| Reference:
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| Reference:
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| Reference:
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| Reference:
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| Reference:
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| Reference:
|
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| Reference:
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| Reference:
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[9] C. F. Lo,P. H. Yuen, and C. H. Hui: Constant elasticity of variance option pricing model with time-dependent parameters.Int. J. Theor. Appl. Finance 3 (2000), 661–674. MR 1795483, 10.1142/S0219024900000814 |
| Reference:
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| Reference:
|
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| Reference:
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| Reference:
|
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| . |
